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12 June 2015 news1

Press Release

20 April 2015 Misys_Logo_strap_90Black Global Market Solutions partners with Misys to provide additional European Treasury and Capital Markets project expertise

LIFETIME COSTS of xVAs

3 April 2015 The latest GMS newsletter about lifetime costs of xVAs
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GMS Trainings on xVA / Liquidity cover the following topics:

TRAINING 1 (1 day) – REVIEW OF ALL CCR METRICS RELATED TO THE BASEL FRAMEWORK

  1. CVA and DVA: Definition and Difference in View Point
    1. Expected Exposures (EPE and ENE)
    2. Quantifying exposure and default probability: Liquid and Illiquid Counterparties
    3. Fundamentals about CVA
    4. Fundamentals about DVA
    5. Bilateral versus Unilateral
    6. Economic CVA versus Regulatory CVA: How to reconcile Front-Office and Risk views?
  2. LVA and FVA: The difference between Collateral Costs and Funding Costs
    1. OIS Discounting as a starting point
    2. Collateral Modelization and Exposure
    3. Cost of Collateral within CSA Agreements: taking into account thresholds, MPOR and other characteristics
    4. FVA and cost of unsecured funding
    5. Wrong-Way Risk: a simple approach from Hull

 TRAINING 2 (2 days) – FORTHCOMING REGULATION FOR DERIVATIVES

  1. CVA and Capital: overview of all incoming regulations?
    1. CCR Capital Charges under Basel II and Basel III
    2. IM-VM and SA-CCR
    3. Comparison CEM/SM and SA-CCR
    4. CVA Risk and Capital Charges
  2. Margining (postponed to Q3 2016)
    1. Change of Paradigm in bilateral market
    2. Coverage of the new framework
    3. Phase-in Approach
    4. Initial Margin in details
    5. Variation Margin in details
    6. Approach to compute IM
    7. Bifurcation of Netting Sets
    8. Challenges for Banks
    9. Actual Issues
  3. Mandatory clearing (from Q1 2016 to Q4 2018 to be possibly postponed)
    1. EMIR Regulation
    2. Timelines
    3. CCP Coverage
    4. Cost of Clearing (Initial Margin / Variation Margin / Default Fund)
    5. Documents
  4. SACCR (Q1 2017)
    1. a. Increasing Complexity
    2. b. Netting effects
    3. c. Net effects vs. CEM
    4. d. Intricacy with IMVM and Clearing
  5. Further Regulations and conclusions
    1. Financial Transaction Tax (FTT)
    2. Quantification
    3. Summary
    4. LCR Requirements
    5. Method used
    6. Documents and Timelines

TRAINING 3 (1 day) – KVA – CAPITAL VALUATION ADJUSTMENT

  1. CCR Lifetime Capital Cost
    1. Definition, internal methods
    2. CCR Capital Requirements
    3. Particular cases : collateral and CCPs RW
    4. Regressions
  2. CVA Lifetime Capital Costs
    1. Standardised CVA Capital Requirements
    2. Advanced CVA Capital Requirements
    3. Maturity Mismatch
    4. Further complexity, solutions, and examples of implementations

TRAINING 4 (1 day) – LIQUIDITY RISK AND COSTS: Experience & Consequences of the financial crisis

  1. Introduction of the liquidity coverage ratio (LCR)
  2. Liquidity effects of derivatives – conclusions
  3. Treatment of derivatives in the LCR
  4. Additional collateral outflows in the LCR
  5. Historical Look-back Approach (HLBA)
  6. HLBA – Implementation and open issues
  7. Advanced Method for Additional Outflows (AMAO) formulae
    1. AMAO Liquidity vs. counterparty risk aggregation
    2. Implementation and open issues
  8. Liquidity gap analysis
    1. Setup
    2. Further aspects
  9. Modelling of existing business
  10. Typical liquidity workflow
  11. Modelling using core level tranches
  12. Credit Line Modelling
  13. LCR as a special LGA scenario
  14. Regulatory Reporting
  15. Response to RiDAR
  16. Liquidity Solution and on-the-fly processing for intra-day liquidity management
    1. Staging
    2. Categorization
    3. Modelling
    4. Aggregation